or some time the only theory of futures price variability was the Samuelson F (1965) hypothesis that the variance of futures prices is a decreasing function of time to maturity. Even though an empirical study by Rutledge (1976) provided evidence against the hypothesis as a general characteristic of
Agricultural futures
- Book ID
- 125931455
- Publisher
- Nature Publishing Group
- Year
- 2012
- Tongue
- English
- Weight
- 114 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1758-678X
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π SIMILAR VOLUMES
In essence, these booklets feature the history of the spreads for each crop year. In most cases, the booklet includes a series of price graphs of the spread, devoting one graph to each year. The booklets present
## Abstract The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (logβ) commodity prices are modeled as a sum of a deterministic seasonal component, a nonβstationary stateβvari
The four parameters of the Pareto stable probability distribution for six agricultural futures are estimated. The behavior of these estimates for different time-scaled distributions is consistent with the conjecture that the stochastic processes generating these agricultural futures returns are char